Xin Xu

Independent

No Address Available

SCHOLARLY PAPERS

4

DOWNLOADS
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SSRN RANKINGS

Top 18,746

in Total Papers Downloads

1,977

CITATIONS

0

Scholarly Papers (4)

1.

Equilibrium-Based Volatility Models of the Market Portfolio Rate of Return (Peacock Tails or Stotting Gazelles)

Number of pages: 39 Posted: 31 Aug 2012 Last Revised: 03 Sep 2015
David Feldman and Xin Xu
Banking and Finance, UNSW Business School, UNSW Australia and Independent
Downloads 153 (148,820)

Abstract:

Market Risk, Volatility Model, Systematic Risk, Market Portfolio, Predictive Power, Equilibrium, GARCH, RiskMetrics, Piecewise Constant Volatility, Constant Elasticity of Variance

2.

Information Noise and Credit Risk: Evidence from Corporate Bankruptcy

Number of pages: 43 Posted: 31 Oct 2013 Last Revised: 04 Jan 2016
Xin Xu
Independent
Downloads 139 (149,651)

Abstract:

Credit Risk, Bankruptcy Forecasting, Information Noise, Hazard Models, Survival Analysis, Probability of Default

3.

Target-Seeking Decompositions of Multi-Period Optimal Portfolios

Number of pages: 45 Posted: 28 Feb 2013 Last Revised: 30 Dec 2013
Xin Xu
Independent
Downloads 71 (257,019)

Abstract:

Portfolio Management, Portfolio Decomposition, Merton’s Problem, Multiperiod, Asset Allocation, Dynamic Programming, Mean Variance Optimization, Zero-Cost Portfolios, Long-term Investments

4.

Estimating Lifetime Expected Credit Losses Under IFRS 9

Number of pages: 22 Posted: 04 Apr 2016 Last Revised: 05 Mar 2017
Xin Xu
Independent
Downloads 0 (7,978)

Abstract:

IFRS 9, Lifetime Expected Credit Losses, Term Structure of Probability of Default, Multi-period Expected Credit Losses